QuantLib_CreditRiskPlus man page



#include <ql/experimental/risk/creditriskplus.hpp>

Public Member Functions

CreditRiskPlus (const std::vector< Real > &exposure, const std::vector< Real > &defaultProbability, const std::vector< Size > &sector, const std::vector< Real > &relativeDefaultVariance, const Matrix &correlation, const Real unit)
const std::vector< Real > & loss ()
const std::vector< Real > & marginalLoss ()
Real exposure ()
Real expectedLoss () const
Real unexpectedLoss ()
Real relativeDefaultVariance ()
const std::vector< Real > & sectorExposures () const
const std::vector< Real > & sectorExpectedLoss () const
const std::vector< Real > & sectorUnexpectedLoss () const
Real lossQuantile (const Real p)

Detailed Description

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.


the input correlation matrix is not checked for positive definiteness


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Referenced By

The man pages CreditRiskPlus(3), loss(3), lossQuantile(3), marginalLoss(3), relativeDefaultVariance(3), sectorExpectedLoss(3), sectorExposures(3), sectorUnexpectedLoss(3) and unexpectedLoss(3) are aliases of QuantLib_CreditRiskPlus(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib